How do I select all objects without materials applied?
While you can select a material'd object and do Select > Linked > Material to select objects with the same material, I don't know how to automagically select non-material'd objects, so here's a work-around:

Select your material'd objects, them move them to another layer M, 2 (or whatever layer number you want). Once you have all the material'd objects on another layer, you'll be left with a layer full of non-material'd objects (and maybe a camera and some lights). At that point, you can A to select the remaining non-material'd objects.